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Internal governance mechanism and default probability : evidence from US public firms
Lehlou, Samira; Tebourbi, Imen; Bouslimi, Lobna - In: International journal of corporate governance : IJCG 5 (2014) 1/2, pp. 83-102
Persistent link: https://www.econbiz.de/10010469734
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Default risk, productivity, and the environment : theory and evidence from U.S. manufacturing
Andersen, Dana C. - In: Environmental and resource economics 75 (2020) 4, pp. 677-710
Persistent link: https://www.econbiz.de/10012224350
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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A conditionally beta distributed time-series model with application to monthly US corporate default rates
Pajhede, Thor - 2017
Persistent link: https://www.econbiz.de/10011587865
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Estimating distance-to-defauIt with a sector-specific liability adjustment via sequential Monte Carlo
Duan, Jin-Chuan; Wang, W.-T. - In: Applied quantitative finance, (pp. 73-91). 2017
Persistent link: https://www.econbiz.de/10011794954
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Charge-offs, defaults and U.S. business cycles
Gunn, Christopher M.; Johri, Alok; Letendre, Marc-André - 2019
Persistent link: https://www.econbiz.de/10012037810
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The expected cost of default
Glover, Brent - 2011
Persistent link: https://www.econbiz.de/10011949359
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Long-run relationship between default rates and macroeconomic variables in the US leveraged loan market
Ilg, Daniel - In: The journal of fixed income 24 (2015) 3, pp. 64-76
Persistent link: https://www.econbiz.de/10011292813
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Recovery in default risk modeling : theoretical foundations and empirical applications
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001
Persistent link: https://www.econbiz.de/10001613473
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Investigating the sources of default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001
Persistent link: https://www.econbiz.de/10001573166